We derive new tests for proper calibration of multivariate density forecasts based on Rosenblatt probability integral transforms. These tests have the advantage that they i) do not depend on the ordering of variables in the forecasting model, ii) are applicable to densities of arbitrary...

Properties such as infinite divisibility, skew, excess kurtosis and suitable model the heavy-tailed distribution characteristic of real finance asset yield make the Normal-Laplace distribution a good candidate model in option pricing. However, a few constraints to Normal-Laplace parameter and...

Properties such as infinite divisibility, skew, excess kurtosis and suitable model the heavy-tailed distribution characteristic of real finance asset yield make the Normal-Laplace distribution a good candidate model in option pricing. However, a few constraints to Normal-Laplace parameter and...

We propose a new three-step model-selection framework for size distributions in empirical data. It generalizes a recent frequentist plausibility-of-fit analysis (Step 1) and combines it with a relative ranking based on the Bayesian Akaike Information Criterion (Step 2). We enhance these...

This paper analyses the evolution of the European agricultural productivity distribution under the hypothesis of persistent differences in productivity levels over time. We use the Cambridge Econometrics European Regional Database and work on a sample of 125 EU-15 regions from 1985 to 2004....

Mandelbrot (1960) proposed using the so-called Pareto-Lévy class of distributions as a framework for representing income distributions. We argue in this paper that the Pareto-Lévy distribution is an interesting candidate for representing income distribution because its parameters are easy to...

Accumulation of education and geographic concentration of educated people in cities are expected to generate urban income growth. New economic geography predicts income divergence across regions. We investigate the dynamic process of accumulating tertiary education and regional income growth in...

We establish a large deviation approximation for the density function of an arbitrary sequence of random variables. The results are analogous to those obtained by Chaganty and Sethuraman (1985). We apply our theorems to the sample variance and the Mann–Whitney two-sample statistic.

The aim of this paper is to study the consistency of the kernel density estimator pertaining to a continuous time stationary process X=(Xt)t≥0, with an underlying density f. More precisely, in a rather general dependency setting, where we use a martingale difference device and a technique...